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  • Search: subject:"conditional information"
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Year of publication
Subject
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CAPM 6 Börsenkurs 5 Conditional information 5 Estimation 5 Schätzung 5 Share price 5 Capital income 4 Kapitaleinkommen 4 Theorie 4 Theory 4 Emerging economies 3 Factor analysis 3 Faktorenanalyse 3 Forecasting model 3 Panel 3 Panel study 3 Prognoseverfahren 3 Risikoprämie 3 Risk premium 3 Schwellenländer 3 conditional information 3 Asset pricing 2 Efficient market hypothesis 2 Effizienzmarkthypothese 2 Emerging markets 2 Factor model 2 Large panel 2 Market timing 2 Mutual fund families 2 Portfolio selection 2 Portfolio-Management 2 Robustness tests 2 Size of management company 2 Stock picking 2 emerging markets 2 Aktienmarkt 1 Anlageverhalten 1 Anomalies 1 Asymmetric information 1 Asymmetrische Information 1
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Online availability
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Undetermined 5 Free 4
Type of publication
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Article 7 Book / Working Paper 5
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2 Aufsatz im Buch 1 Book section 1
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Language
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English 8 Undetermined 4
Author
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Gagliardini, Patrick 3 Ossola, Elisa 3 Scaillet, Olivier 3 Muñoz, Fernando 2 Brooks, Robert 1 CHIYACHANTANA, Chiraphol N. 1 CHOOCHUAY, Julaluck 1 Dahlquist, Magnus 1 Das, Sudipta 1 Ferruz Agudo, Luis 1 Ferruz, Luis 1 Galagedera, Don U.A. 1 Hodoshima, Jiro 1 Hughen, J. Christopher 1 Iqbal, Javed 1 LIKITAPIWAT, Tanakorn 1 Laurini, Márcio Poletti 1 Liu, Dehong 1 Lung, Peter P. 1 Qiu, Qi 1 Sallstrom, Torbjorn 1 Vargas, Maria 1 Vargas, María 1 Vigo, Caio 1
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Institution
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C.E.P.R. Discussion Papers 1 Department of Econometrics and Business Statistics, Monash Business School 1 Econometric Society 1
Published in...
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CEPR Discussion Papers 1 Econometric Society 2004 Far Eastern Meetings 1 Economic systems 1 Handbook of econometrics : Volume 7A 1 Handbook of econometrics ; Volume 7A 1 International review of economics & finance : IREF 1 Journal of Applied Economic Sciences Quarterly 1 Monash Econometrics and Business Statistics Working Papers 1 Research paper series / Swiss Finance Institute 1 Review of Quantitative Finance and Accounting 1 Review of quantitative finance and accounting 1 Swiss Finance Institute Research Paper 1 Working papers series in theoretical and applied economics 1
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Source
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ECONIS (ZBW) 7 RePEc 5
Showing 1 - 10 of 12
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Portfolio efficiency tests with conditioning information : comparing GMM and GEL estimators
Vigo, Caio; Laurini, Márcio Poletti - 2020
Persistent link: https://www.econbiz.de/10012312843
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Estimation of large dimensional conditional factor models in finance
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2019 - This version: August 2019
of conditional information, and reviews an arbitrage pricing theory for large dimensional factor models in this framework …
Persistent link: https://www.econbiz.de/10012101166
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Chapter 3. Estimation of large dimensional conditional factor models in finance
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Handbook of econometrics : Volume 7A, (pp. 219-282). 2020
of conditional information, and reviews an arbitrage pricing theory for large dimensional factor models in this framework …
Persistent link: https://www.econbiz.de/10014024924
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Estimation of large dimensional conditional factor models in finance
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2020
Persistent link: https://www.econbiz.de/10012392216
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Price discovery in the price disagreement between equity and option markets : evidence from SSE ETF50 options of China
Liu, Dehong; Qiu, Qi; Hughen, J. Christopher; Lung, Peter P. - In: International review of economics & finance : IREF 64 (2019), pp. 557-571
Persistent link: https://www.econbiz.de/10012372858
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Empirical evidence of conditional asset pricing in the Indian stock market
Das, Sudipta - In: Economic systems 39 (2015) 2, pp. 225-239
Persistent link: https://www.econbiz.de/10011527498
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Testing Conditional Asset Pricing Models: An Emerging Market Perspective
Iqbal, Javed; Brooks, Robert; Galagedera, Don U.A. - Department of Econometrics and Business Statistics, … - 2008
The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset pricing models scaled by conditional...
Persistent link: https://www.econbiz.de/10005581109
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INTRADAY PRICE DISCOVERY IN EMERGING EQUITY MARKET: ANALYSIS OF SET50 INDEX, SET50 INDEX FUTURES AND THAIDEX SET50 (TDEX)
CHIYACHANTANA, Chiraphol N.; CHOOCHUAY, Julaluck; … - In: Journal of Applied Economic Sciences Quarterly VII (2012) 4, pp. 380-390
This study employs Vector Error Correction Model (VECM), information share and conditional information share methods to …
Persistent link: https://www.econbiz.de/10010743510
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On weak exogeneity of the student's t and elliptical linear regression models
Hodoshima, Jiro - Econometric Society - 2004
regression models. A new definition of weak exogeneity is given which utilizes block-diagonality of the conditional information …
Persistent link: https://www.econbiz.de/10005702716
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Does the size of a fund family matter when choosing an investment strategy? Evidence from spain
Ferruz, Luis; Muñoz, Fernando; Vargas, Maria - In: Review of Quantitative Finance and Accounting 35 (2010) 3, pp. 315-334
Persistent link: https://www.econbiz.de/10008776275
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